Last, last, last, a thousand times last.
How are you supposed to get the taste of the tea when it's all mixed in with the milk first? I mean I guess if you prefer the milk in first then go ahead, but I suppose this all depends how you like your tea and also which tea you drink.
Overall the process of making a cup of tea for me takes about roughly five minutes (after the kettle has boiled of course).
1. Boiling water into the cup with the tea bag
2. Two minutes while the magic works
3. Strain the teabag and take it out, as dry as possible
4. About a minute for the tea to stand
5. Milk goes in and stir (I usually judge the amount by the colour)
6. Drink!
(Note: I don't have sugar)